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From "Thomas Neidhart (JIRA)" <j...@apache.org>
Subject [jira] [Updated] (MATH-485) Feature Request: Kalman Filter
Date Mon, 13 Jun 2011 22:45:47 GMT

     [ https://issues.apache.org/jira/browse/MATH-485?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Thomas Neidhart updated MATH-485:
---------------------------------

    Attachment: MATH-485-cleanup.patch

Thanks for already committing the patch ;-).

I have worked on the comments from Luc and provided a cleanup patch that corrects the following:

 * added missing javadoc comments
 * fixed checkstyle errors (ignoring method extension warnings as I do not know exactly how
or if to resolve them)
 * added package.html
 * processNoise and measurementNoise are now correctly retrieved from the respective models
every predict/correct step

@time-dependant noises:

I think this makes perfect sense, but I was unsure how to solve this in an optimal way. By
now, one could create a specific ProcessModel implementation that returns the "right" process
noise at the correct time-step. For a more general case, one would also need the mentioned
integer parameter in the predict/correct methods, or do you think about keeping track of the
iteration internally in the Kalman filter?

> Feature Request: Kalman Filter
> ------------------------------
>
>                 Key: MATH-485
>                 URL: https://issues.apache.org/jira/browse/MATH-485
>             Project: Commons Math
>          Issue Type: Wish
>            Reporter: Benjamin McCann
>             Fix For: 3.0
>
>         Attachments: KalmanFilterExample.java, MATH-485-cleanup.patch, MATH-485-update1.patch,
MATH-485.patch
>
>
> I'd love it if Commons Math could add support for the Kalman filter.  Here are a few
implementations that might be able to be used for reference or included if they're using compatible
licenses:
> http://code.google.com/p/efficient-java-matrix-library/wiki/KalmanFilterExamples
> http://mathstat.asu.edu/~eubank/
> http://www.fit.vutbr.cz/research/prod/index.php.en?id=53&notitle=1
> http://sourceforge.net/projects/jkalman/
> http://www.vni.com/products/imsl/jmsl/v30/api/com/imsl/stat/KalmanFilterEx1.html

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